It depends on the things you want to do. you can use add_filter and add_action based on what you want to do.
Actions: Actions are the hooks that the WordPress core launches at
specific points during execution, or when specific events occur. Your
plugin can specify that one or more of its PHP functions are executed
at these points, using the Action API.Filters: Filters are the hooks that WordPress launches to modify text
of various types before adding it to the database or sending it to the
browser screen. Your plugin can specify that one or more of its PHP
functions is executed to modify specific types of text at these times,
using the Filter API.
so if you want to modify the content, you should hook using filter functions. For doing your own stuffs, you need to hook using action functions.
if you have explained your purpose, we could probably tell you what you need to use.
More details here:
http://codex.wordpress.org/Plugin_API